Displaying 2 results from an estimated 2 matches for "xmpdwchapter34".
2006 Apr 26
1
garchFit from fSeries
Dear R People:
I'm trying to use the garchFit function from the library(fSeries)
However, R freezes every time that I use it.
Is anyone else having this problem, please?
Thanks in advance!
R Version 2.2.1 Windows.
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu
2006 Jul 06
1
Problem with garchFit function in fSeries
I used garchFit function to fit 1600 observations of EURO/USD 2-day returns
in GARCH(1,1) model.
As part of the summary I got warning message:
NaNs produced in: sqrt(diag(fit$cvar))
And didn't get any estimates for 3 params' std.error, t value or
probability:
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.004827 0.020141 -0.240 0.811
ar1 0.010311